The report, released by Bybit in cooperation with Block Scholes, unveils crucial aspects of open interest and market changes during the expiration of Bitcoin and Ethereum options.
Open Interest Stability
Throughout the December options expiration, open interest in BTC and ETH perpetual swaps remained stable, leading to diminished volatility. Traders largely refrained from using perpetual contracts to hedge expiring options' delta, resulting in decreased trading volume during the holiday season.
BTC Option Curve
Contrary to expectations, the December options expiration didn't cause a volatility surge. The implied volatility term structure for BTC options stayed steep, with longer-dated implied volatility around 57%. This reflects a cautious market sentiment.
ETH Options: No Volatility
The substantial expiration of ETH options in December 2024 didn't lead to significant market changes. Although there was a spike in realized volatility, the market reverted to lower volatility levels, hinting at potential short-term spot price movements.
The report by Bybit and Block Scholes highlights market stability during options expiration, emphasizing cautious participant sentiment.
